lballabio

lballabio/QuantLib

The QuantLib C++ library

7.3K stars 2.3K forks 7.3K watchers C++ Other
quantitative-finance
View on GitHub Website
47 Open Issues Need Help Last updated: Jul 9, 2026

Open Issues Need Help

View All on GitHub
ConstNotionalCrossCurrencySwapRateHelper: collateral leg's payment-schedule roll convention is taken from the overnight index (hardcoded Following), not configurable about 8 hours ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Inconsistent settlement-date vs. evaluation-date anchoring for discrete dividends in `BinomialConvertibleEngine` 6 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Using IMM-rolls swaps to build curves 7 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
SimpleThenCompounded convention applied incorrectly in bond price calculation 15 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
review reference date adjustments in rate helpers 27 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Exploration: suggestions for AI-assisted coding about 1 month ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
SOFR observation lag about 1 month ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
ILS SHIR support about 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`OvernightIndexedCoupon`: rate rounding hook for ISDA matrix conventions about 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Problematic inheritance in DefaultLossModel about 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
fixed reference date piecewise curve re-bootstraps on global evaluation date changes 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Excessive branching in trinomial trees when a time step is unusually small 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Question about IrrFinder::derivative() return value in cashflows.cpp 3 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Basket Loss & LHP Loss Model 3 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeCapFloor cannot calculate ATM with BachelierCapFloorEngine 3 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
comp spot val calc in overnight index future missing comp from eval to ref date 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
zero spreaded rate curves / bond z-spread analytics ignore day counter 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Pricing Bonds with face values other than $100 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Callable bond further implementation 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MtMCrossCurrencyBasisSwapRateHelper Payment Frequency 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
CMake build does not generate `QL_PACKAGE_NAME` 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Issue with first period cashflow in FixedRateBond 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MCDiscreteArithmeticASEngine is insensitive to exercise date 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Option pricing BARONE-ADESI/WHALEY and negative rate 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Updates are not propagated from a PiecewiseYieldCurve after a failed bootstrap 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
"Fast Valuation of Seasoned OIS Swaps" 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
the BS model should return premium and greeks when expiry is zero 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
ql.MakeSwaption holiday calendar 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeVanillaSwap may infer the wrong fixed leg tenor for swaps with explicit termination dates 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeVanillaSwap / MakeOIS withSettlementDays clears an explicit effective date 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Potential flaw in Actual/Actual Day Count Convetion when compared to ISDA docs, LSEG and Bloomberg 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
backward start swap helper needed 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
OISRateHelper should take a QuoteHandle for overnightSpread parameter 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
inflationYearFraction in ZeroCouponInflationSwap 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
avoid underflow in SmileSectionUtils 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Volatility surface with different strike levels for different tenors 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
FloatingRateCoupon fixingDate() Following 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Jump in OAS on callable bond with ex coupon date 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Add ql.ZabrSwaptionVolatilityCube() 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Request: Natural cubic spline fitter for FittedBondDiscountCurve 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Potential day count bug in ZeroSpreadedTermStructure / zSpread 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
GSR Process Kernel Crash in Python 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Support custom pillar date in interest-rate futures helpers 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Feature request: FX Forwards 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Add CrossCurrencySwapRateHelper 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
OvernightIndexedCoupon: amount() and rate() return inf/nan if paymentDate < accrualEndDate 9 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Segfault for `AmortizingFloatingRateBond` constructor. 11 months ago

AI Summary: A user reported a segmentation fault when attempting to construct an `AmortizingFloatingRateBond` in QuantLib Python using seemingly invalid or default arguments, specifically an empty `ql.Schedule()`. Although the user acknowledges these inputs are not intended for a valid bond, a segfault indicates a critical unhandled error in the underlying C++ code. The issue suggests the need for robust input validation to prevent crashes and instead raise a proper exception for invalid constructor arguments.

Complexity: 3/5
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance